A method of moments estimator of tail dependence
| dc.creator | Einmahl, John H. J. | |
| dc.creator | Krajina, Andrea | |
| dc.creator | Segers, Johan | |
| dc.date | 2007-10-10 | |
| dc.date | 2008-11-14 | |
| dc.date.accessioned | 2026-07-07T10:17:50Z | |
| dc.date.available | 2026-07-07T10:17:50Z | |
| dc.description | In the world of multivariate extremes, estimation of the dependence structure still presents a challenge and an interesting problem. A procedure for the bivariate case is presented that opens the road to a similar way of handling the problem in a truly multivariate setting. We consider a semi-parametric model in which the stable tail dependence function is parametrically modeled. Given a random sample from a bivariate distribution function, the problem is to estimate the unknown parameter. A method of moments estimator is proposed where a certain integral of a nonparametric, rank-based estimator of the stable tail dependence function is matched with the corresponding parametric version. Under very weak conditions, the estimator is shown to be consistent and asymptotically normal. Moreover, a comparison between the parametric and nonparametric estimators leads to a goodness-of-fit test for the semiparametric model. The performance of the estimator is illustrated for a discrete spectral measure that arises in a factor-type model and for which likelihood-based methods break down. A second example is that of a family of stable tail dependence functions of certain meta-elliptical distributions. | |
| dc.description | Published in at http://dx.doi.org/10.3150/08-BEJ130 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm) | |
| dc.identifier | https://arxiv.org/abs/0710.2039 | |
| dc.identifier | http://arxiv.org/abs/0710.2039 | |
| dc.identifier | Bernoulli 2008, Vol. 14, No. 4, 1003-1026 | |
| dc.identifier | doi:10.3150/08-BEJ130 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/173990 | |
| dc.subject | Statistics Theory | |
| dc.title | A method of moments estimator of tail dependence | |
| dc.type | text |